Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0060 |
| Annualized Std Dev | 0.1576 |
| Annualized Sharpe (Rf=0%) | -0.0380 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4650.0000 |
| NAs | 1.0000 |
| Minimum | -0.1358 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.1547 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0099 |
| Skewness | 0.0344 |
| Kurtosis | 36.6167 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0071 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0121 |
| Downside Deviation (Rf=0%) | 0.0071 |
| Downside Deviation (0%) | 0.0071 |
| Maximum Drawdown | 0.4253 |
| Historical VaR (95%) | -0.0136 |
| Historical ES (95%) | -0.0225 |
| Modified VaR (95%) | -0.0089 |
| Modified ES (95%) | -0.0089 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2002-10-10 | 2008-10-10 | 2010-09-02 | -0.4253 | 1987 | 1510 | 477 |
| 2016-09-13 | 2020-03-23 | NA | -0.3907 | 1138 | 887 | NA |
| 2012-08-03 | 2013-08-16 | 2014-12-18 | -0.2129 | 598 | 260 | 338 |
| 2014-12-19 | 2015-08-28 | 2016-07-27 | -0.1853 | 403 | 174 | 229 |
| 2010-09-03 | 2011-02-22 | 2011-11-17 | -0.1077 | 306 | 118 | 188 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.4 | 0.9 | 1.3 |
| 2003 | 1.1 | -0.3 | -0.7 | -0.1 | 0.4 | -0.4 | -3.1 | 0.2 | 1.3 | 0.1 | 0.5 | 0.3 | -0.8 |
| 2004 | -0.2 | 1.3 | -0.2 | 0.8 | 0.6 | 0.3 | 0.2 | -0.1 | -1.1 | -0.4 | -0.5 | -1.7 | -1.2 |
| 2005 | 0.6 | 0.2 | 0.9 | 0.7 | -0.5 | 0.1 | -0.7 | 2.1 | -0.1 | 0.7 | 1.3 | -0.5 | 4.8 |
| 2006 | 0.1 | -0.3 | -0.1 | 0.7 | 1.3 | 0.7 | 0.1 | 0 | 0.8 | 1.2 | 0.2 | 0.7 | 5.6 |
| 2007 | 0.1 | 0.6 | 1.2 | 1 | -0.5 | 0.3 | 0.1 | 1 | 0.4 | -0.1 | 1.3 | 1.2 | 6.8 |
| 2008 | 1.2 | -1.4 | -0.3 | -1.3 | -0.5 | -0.6 | -0.2 | -0.5 | -2.1 | 0.1 | -0.2 | -0.4 | -6.2 |
| 2009 | -0.6 | -0.2 | 0 | 0.4 | -0.4 | 0.8 | -0.2 | 1.2 | 0.2 | -1.9 | -0.2 | 0.1 | -0.8 |
| 2010 | 0.2 | 0.7 | 0 | -0.1 | 0.6 | 0.6 | 0 | 0.1 | -1.9 | -0.1 | -1.4 | 1.6 | 0.2 |
| 2011 | 0.2 | -0.7 | 0.4 | 0.1 | 0.5 | 0.1 | -0.1 | -0.7 | -0.3 | 0.1 | 0.7 | -0.3 | 0.2 |
| 2012 | -0.1 | 1 | 1.6 | 0.7 | 0 | 0.2 | -1 | -0.2 | 1.1 | 1 | -1.3 | -0.2 | 2.7 |
| 2013 | 0.6 | 0.1 | 1.4 | 1.1 | -2.5 | 0.9 | 1.7 | -0.9 | -0.4 | -0.8 | -0.5 | -0.9 | -0.2 |
| 2014 | 0.8 | -0.5 | -0.7 | 0.2 | -0.7 | 0.6 | -1.4 | -0.5 | 0 | -0.3 | -0.1 | 0 | -2.5 |
| 2015 | 0.1 | 0.8 | 0.3 | 1.6 | 0.9 | -1.5 | 0.3 | 1.4 | 0.4 | 0.6 | 0.7 | -0.9 | 4.7 |
| 2016 | -0.8 | 0.4 | 1.5 | -0.8 | 1.4 | 0.6 | 0.1 | 0.3 | 0 | -0.9 | -1.7 | 0.6 | 0.4 |
| 2017 | -0.1 | 0 | -0.3 | 0.2 | -0.3 | -0.2 | 0.2 | -0.1 | 0.1 | 0.1 | 0.2 | -0.1 | -0.1 |
| 2018 | -0.3 | -0.2 | 0.8 | 0 | -0.2 | -0.1 | 0.1 | 0.5 | 0.4 | 0 | 0.3 | 0.8 | 2.1 |
| 2019 | 0.1 | 0.1 | -0.2 | -0.1 | 0.2 | -0.6 | 0.4 | 0.4 | 0.1 | -0.1 | -0.3 | -0.4 | -0.4 |
| 2020 | 0.1 | -1.8 | -4.8 | 0.2 | 0.5 | 0.3 | 0.1 | 0.5 | 0.1 | -0.9 | 0.1 | 0.7 | -4.9 |
| 2021 | -0.8 | 0.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
